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The global financial crisis and retail interest rate pass-through in Australia
Liu,Ming Hua1; Margaritis,Dimitris2; Qiao,Zhuo1
2016-12-01
Source PublicationReview of Pacific Basin Financial Markets and Policies
ISSN0219-0915
Volume19Issue:4
Abstract

In this paper, we examine the impact of the global financial crisis (GFC) on the interest rate pass-through for four types of loans in Australia: mortgages, residentially secured small business lending, nonsecured small business lending and personal loans. Australia is an interesting case study since its central bank lowered but also raised interest rates during the GFC. We find that after the onset of the crisis, there has been a shift in the way banks adjust their lending rates in response to changes in market interest rates; the markup has increased and there has been a drop in both short- and long-term pass-through from funding costs to lending rates. Closer analysis indicates that the drop in short-term pass-through is due to the slower response of banks to increases in funding costs. We also find asymmetries in the way banks adjust lending rates in relation to funding costs in the long-run for nonsecured small business lending and personal loans. The evidence shows that banks in Australia tightened lending standards and competed less aggressively for loans but more for deposits in response to heightened default risks following the global financial crisis. The wider margin allows banks to adjust their lending rates more slowly and asymmetrically.

KeywordAustralian Banks Error Correction Model Global Financial Crisis Mortgages Personal Loans Small Business Loans
DOI10.1142/S0219091516500260
URLView the original
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000395315600006
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Document TypeJournal article
专题DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorMargaritis,Dimitris
Affiliation1.Faculty of Business Administration,University of Macau,,Macao
2.University of Auckland Business School,,Auckland,New Zealand
First Author AffilicationFaculty of Business Administration
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Liu,Ming Hua,Margaritis,Dimitris,Qiao,Zhuo. The global financial crisis and retail interest rate pass-through in Australia[J]. Review of Pacific Basin Financial Markets and Policies,2016,19(4).
APA Liu,Ming Hua,Margaritis,Dimitris,&Qiao,Zhuo.(2016).The global financial crisis and retail interest rate pass-through in Australia.Review of Pacific Basin Financial Markets and Policies,19(4).
MLA Liu,Ming Hua,et al."The global financial crisis and retail interest rate pass-through in Australia".Review of Pacific Basin Financial Markets and Policies 19.4(2016).
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